ARTICLES

Filter  
Active filters 0
Remove
  

Refine your searches by:

Collections
Economy
Administration - Business
Mathematics
Biology
Political Sciences
Pure sciences
Religion
Technology
Research
Botany
all records (17)

Languages
English

Countries
Indonesia
USA
Ecuador
South Africa
Switzerland
Argentina
Austria
Bosnia Herzegovina
Brazil
Chile
all records (13)

Years
2022
2020
2019
2018
2017
2016
2015
2013
2012
2006

Filter  
 
25  Articles
1 of 3 pages  |  10  records  |  more records»
Risk measure using Conditional Value at Risk can be calculate if values that exceeds the p-quantile is known in VaR. The models used to accommodate characteristics of the stock portfolio in this research are EVT-GARCH-D-vine copula and EVT-GJR-D-vine copu... see more

An extraordinary event that causes shock can affect volatility which causes asymmetric variance and error or commonly called asimetric shock / effect. This paper aims to analyze the volatility of stock returns of PT ANTAM (Persero) Tbk and PT Adaro Energy... see more

En el presente documento se desarrollan conceptos y aplicaciones relacionadas con modelos de econometría financiera, el objetivo principal fue la determinación del nivel de volatilidad de los rendimientos reportados por los Fondos de Inversión Abiertos en... see more

Conditional value at risk (CVaR) is widely used in risk measure that takes into account losses exceeding the value at risk level. The aim of this research is to compare the performance of the EVT-GJR-vine copula method and EVT-GARCH-vine copula method in ... see more

Dalam pemodelan harga saham, sering dihadapkan pada suatu pertanyaan, apakah model GARCH atau GJR yang lebih tepat merepresentasikan pergerakan harga saham? Secara teori, model GJR adalah perbaikan dari model GARCH, karena model GJR melibatkan parameter k... see more

Forecasting stock market returns volatility is a challenging task that has attracted the attention of market practitioners, regulators and academics in recent years. This paper proposes a Fuzzy GJR-GARCH model to forecast the volatility of S&P 500 and Ibo... see more

The number of Chinese tourists visiting Taiwan has been closely related to the political relationship across the Taiwan Strait. The occurrence of political events and disasters or accidents have had, and will continue to have, a huge impact on the Taiwan ... see more

The number of Chinese tourists visiting Taiwan has been closely related to the political relationship across the Taiwan Strait. The occurrence of political events and disasters or accidents have had, and will continue to have, a huge impact on the Taiwan ... see more

For the presence of non-normal distribution characteristics in the financial assets returns, the model of AR(1)-GJR(1,1) is used to characterize the marginal distribution of the style assets in China stock market. The Copula function is introduced to anal... see more

1 of 3 pages  |  10  records  |  more records»